We will apply the notion of \(\Gamma \) -Robustness proposed by [1]}. We first assume that the scenarios \(\mathbf {y}_j\)  lie in the uncertainty set:
\(\mathcal {U}_1 = \lbrace y | \mu _{pj} - \delta _{pj}\gamma _{pj} \le y_{pj} \le \mu _{pj} + \delta _{pj}\gamma _{pj}, \Vert \gamma \Vert _{\infty }\le \Gamma \rbrace .\) 
